You are correct when you state "Is it more for like if you build a web app in Azure and you want to use some sort of SAML authentication interactively for users?".
A redirect URI, or reply URL, is the location where the authorization server sends the user once the app has been successfully authorized and granted an authorization code or access token. The authorization server sends the code or token to the redirect URI, so it's important you register the correct location as part of the app registration process.
See the following documentation for further Redirect URI information:
Redirect URI (reply URL) restrictions and limitations
https://learn.microsoft.com/en-us/azure/active-directory/develop/reply-url
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